IT Options History — June 2018

In June 2018, IT traded between $131.29 and $138.41. ATM implied volatility averaged 19.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.2% (HV 20d: 15.6%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2018-06-26: Highest Volume — 3,747 contracts
  • 2018-06-11: Largest IV spike — 29.6% change
  • 2018-06-11: Highest IV Rank — 33.0%
  • 2018-06-27: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.82$131.29$138.41$132.61$133.34
Max Pain$135.24$130.00$140.00$130.00$135.00
ATM IV19.8%17.5%23.8%19.6%19.9%
Expected Move5.4%5.0%6.3%5.6%5.7%
HV 20d15.6%11.7%24.0%23.2%16.6%
HV 60d19.7%18.4%20.8%20.8%19.4%
IV Rank20.2%13.1%33.0%19.7%20.5%
IV Percentile48.2%33.3%67.9%50.8%49.2%
Term Structure3.7%-0.4%5.2%-0.4%4.2%
VWIV21.6%18.6%27.7%27.7%22.6%
Skew 25d3.0%1.2%4.1%1.2%2.3%
Skew 10d5.4%-7.7%16.0%2.7%0.3%
Call IV 25d18.6%17.0%22.0%22.0%20.3%
Put IV 25d21.6%19.7%25.2%23.2%22.6%
Bid-Ask Spread %72.4326.6794.4694.4694.03
Gamma HHI0.190.160.240.180.19
Net GEX123.0K-24.1K303.8K8.8K3.6K
Net DEX-4.9M-14.6M14.8M-7.6M7.3M
Net VEX-52.5K-76.3K-41.0K-55.6K-68.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.421.081.821.671.31
Total Volume1,344.0956873,7478611,776
Total OI4,516.5712,5956,0704,6815,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$132.61$130.0019.6%5.6%23.2%19.7%27.7%1.2%-0.4%8.8K-7.6M-55.6K1.6794.463225391,7352,946
2018-06-04$135.62$130.0020.8%5.4%23.8%23.4%20.7%2.9%2.7%194.0K-11.1M-50.6K1.7268.613155411,7512,955
2018-06-05$135.14$130.0019.8%5.2%24.0%20.3%20.4%2.9%3.2%197.4K-10.6M-50.8K1.7270.233095301,7422,962
2018-06-06$137.14$130.0019.1%5.4%17.4%18.1%19.6%3.9%2.7%285.8K-13.2M-44.5K1.8226.673105651,7432,962
2018-06-07$137.68$130.0021.5%5.0%14.9%25.7%20.4%3.1%3.3%281.8K-13.1M-48.2K1.1669.703243761,7502,963
2018-06-08$137.57$135.0018.4%5.0%14.9%15.7%20.3%2.2%3.4%214.3K-13.2M-44.9K1.1781.753193731,7503,025
2018-06-11$137.41$135.0023.8%5.4%14.8%33.0%21.7%2.6%2.7%257.6K-13.5M-43.3K1.5029.893084621,7553,034
2018-06-12$138.41$135.0021.2%5.1%14.9%24.8%20.9%3.9%3.1%303.8K-14.6M-41.0K1.4070.993264571,7533,120
2018-06-13$137.75$135.0017.6%5.0%15.1%13.1%19.5%3.3%3.8%211.3K-12.8M-44.2K1.3885.803294551,7313,176
2018-06-14$137.31$135.0018.9%5.4%15.1%17.5%18.6%2.1%3.9%185.3K-13.0M-43.2K1.2667.713714681,7363,192
2018-06-15$137.97$135.0018.0%5.2%13.3%14.5%19.1%2.1%5.1%62.3K-13.6M-45.8K1.5486.043244981,7623,232
2018-06-18$137.68$135.0017.5%5.0%13.2%13.1%20.2%3.5%4.6%59.5K-5.7M-45.5K1.4572.682804071,1151,480
2018-06-19$137.04$140.0019.4%5.6%11.8%19.1%21.6%3.4%4.6%77.4K-5.7M-47.1K1.4476.762834071,1821,486
2018-06-20$136.55$140.0019.4%5.6%11.7%19.1%20.5%3.6%4.4%91.8K-5.7M-45.2K1.6358.282874681,1861,466
2018-06-21$135.45$140.0018.7%5.4%12.2%16.8%23.5%2.3%5.2%63.4K-4.9M-47.0K1.5692.762784331,1911,535
2018-06-22$135.29$140.0019.2%5.5%12.3%18.3%21.2%2.9%4.3%51.2K-4.5M-47.4K1.0969.721,7791,9321,1921,543
2018-06-25$133.05$140.0021.2%6.1%13.7%24.6%25.6%4.1%2.8%4.2K13.3M-76.3K1.0888.381,7851,9282,6993,044
2018-06-26$133.94$140.0019.7%5.6%13.8%19.9%21.9%4.0%4.4%33.7K13.4M-68.9K1.1388.951,7591,9882,7493,094
2018-06-27$131.29$135.0021.9%6.3%15.1%26.8%25.2%3.7%4.0%-24.1K14.8M-69.8K1.4674.707501,0962,7873,157
2018-06-28$133.88$135.0020.0%5.7%16.6%20.8%22.6%3.8%4.8%19.7K12.4M-75.0K1.3652.857491,0202,7923,278
2018-06-29$133.34$135.0019.9%5.7%16.6%20.5%22.6%2.3%4.2%3.6K7.3M-68.3K1.3194.037691,0072,2962,801